Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Characteristics
| Characteristic | Latest | Prior Month | Two Months Ago |
|---|---|---|---|
| Rank (1 is Worst, 10 is Best) | 3 | 3 | 3 |
| Score | -4.56 | -3.57 | -3.77 |
| Market Cap (Millions USD) | 180.25 | 141.24 | 165.44 |
| Predicted Beta | 0.06 | 0.05 | 0.09 |
| Idiosyncratic Volatility | 4.08 | 3.27 | 4.2 |
Annualized return and volatility
| PPH | |
|---|---|
| Annualized Return | 0.0479 |
| Annualized Std Dev | 0.1817 |
| Annualized Sharpe (Rf=0%) | 0.2634 |
Row
Daily Return Statistics
| PPH | |
|---|---|
| Observations | 5092.0000 |
| NAs | 22.0000 |
| Minimum | -0.0777 |
| Quartile 1 | -0.0054 |
| Median | 0.0003 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0002 |
| Quartile 3 | 0.0061 |
| Maximum | 0.1018 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0001 |
| UCL Mean (0.95) | 0.0006 |
| Variance | 0.0001 |
| Stdev | 0.0114 |
| Skewness | -0.0139 |
| Kurtosis | 5.4808 |
Downside Risk
| PPH | |
|---|---|
| Semi Deviation | 0.0082 |
| Gain Deviation | 0.0080 |
| Loss Deviation | 0.0084 |
| Downside Deviation (MAR=210%) | 0.0131 |
| Downside Deviation (Rf=0%) | 0.0081 |
| Downside Deviation (0%) | 0.0081 |
| Maximum Drawdown | 0.4645 |
| Historical VaR (95%) | -0.0178 |
| Historical ES (95%) | -0.0272 |
| Modified VaR (95%) | -0.0174 |
| Modified ES (95%) | -0.0271 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2000-12-29 | 2002-07-23 | 2012-07-02 | -0.4645 | 2944 | 396 | 2548 |
| 2015-08-06 | 2016-11-03 | NA | -0.2986 | 1123 | 320 | NA |
| 2000-02-09 | 2000-03-07 | 2000-04-04 | -0.2157 | 40 | 19 | 21 |
| 2000-07-12 | 2000-09-06 | 2000-10-23 | -0.1507 | 74 | 40 | 34 |
| 2014-09-25 | 2014-10-16 | 2014-11-11 | -0.0898 | 35 | 16 | 19 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | PPH | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA |
| 2000 | NA | -1.8 | 0.0 | -0.5 | -0.9 | 0.0 | 3.8 | 0.2 | 0.0 | 0.4 | -2.2 | 0.0 | -1.2 |
| 2001 | 1.7 | -1.0 | 0.0 | 0.1 | 1.5 | 0.0 | 0.0 | 0.0 | 2.2 | 1.8 | 0.0 | 0.0 | 6.4 |
| 2002 | 0.2 | 1.9 | 0.5 | 2.0 | 0.0 | -4.4 | -3.6 | 0.0 | 3.7 | 0.9 | 0.0 | 0.0 | 0.8 |
| 2003 | 0.0 | 0.0 | 1.7 | 0.3 | 0.0 | 0.7 | -2.1 | 0.0 | 1.8 | 0.0 | 1.7 | 0.0 | 4.1 |
| 2004 | 0.0 | 0.4 | 0.9 | 0.0 | 0.7 | -0.8 | 0.0 | -0.2 | 1.4 | -1.3 | 1.6 | 0.0 | 2.5 |
| 2005 | 0.4 | 1.1 | -0.8 | 0.0 | 0.2 | -0.3 | 0.4 | -0.4 | 0.0 | -0.7 | 0.4 | 0.0 | 0.4 |
| 2006 | 0.7 | 0.2 | 0.0 | -0.5 | 1.1 | 0.0 | 0.1 | 0.6 | 0.0 | -0.2 | 0.4 | 0.0 | 2.4 |
| 2007 | 0.7 | -0.4 | 0.0 | 0.8 | 0.2 | 0.0 | 1.3 | 0.0 | 1.5 | -1.7 | 0.0 | 0.0 | 2.4 |
| 2008 | 1.1 | 0.0 | 1.5 | 1.8 | 0.0 | 0.9 | -0.1 | 0.0 | 1.0 | 0.0 | -6.8 | 0.0 | -0.8 |
| 2009 | 0.0 | 0.0 | 0.8 | 0.4 | -0.1 | -0.1 | 0.0 | -1.2 | -1.5 | 0.0 | 1.3 | 0.0 | -0.5 |
| 2010 | 0.6 | 0.6 | 0.4 | 0.0 | -0.7 | -0.8 | 0.0 | 2.0 | 0.0 | 0.1 | 1.8 | 0.0 | 4.0 |
| 2011 | 2.4 | -0.9 | 0.7 | 0.0 | -1.3 | 1.0 | -1.1 | -0.6 | 0.0 | -1.2 | -0.1 | 0.0 | -1.3 |
| 2012 | 0.9 | 1.1 | 0.0 | 0.2 | -1.6 | 0.0 | 0.2 | 0.0 | 0.5 | 0.6 | 0.0 | 0.0 | 1.9 |
| 2013 | 0.8 | 0.2 | 0.1 | -1.6 | 0.0 | 0.5 | 0.6 | 0.0 | 1.2 | 0.8 | 0.0 | 0.0 | 2.6 |
| 2014 | 0.0 | 0.0 | 0.1 | 0.5 | 0.0 | 0.8 | 0.1 | 0.0 | -0.8 | 0.0 | -0.2 | 0.0 | 0.5 |
| 2015 | 0.0 | 0.0 | -0.6 | 1.0 | 0.2 | 1.3 | 0.0 | -2.5 | 0.9 | 0.0 | 1.9 | 0.0 | 2.3 |
| 2016 | 0.5 | 1.8 | 1.0 | 0.0 | 0.5 | 0.8 | 0.0 | -0.2 | 0.0 | 0.8 | -1.5 | 0.0 | 3.8 |
| 2017 | 0.6 | 0.8 | 0.0 | 0.1 | 1.3 | 0.0 | -0.5 | -0.1 | 0.0 | 0.6 | 0.2 | 0.0 | 3.0 |
| 2018 | 0.4 | -1.8 | 0.0 | 0.2 | 0.8 | 0.0 | -0.2 | 0.0 | -0.1 | 2.9 | 0.0 | 0.0 | 2.1 |
| 2019 | 0.8 | 1.1 | 0.4 | -0.4 | 0.0 | 0.6 | 0.6 | 0.0 | -1.7 | 0.7 | 0.0 | 0.1 | 2.2 |
Row
Rolling Performance Chart
Snail Trail Chart
